In this study, a new type of magnetic tumor-targeting PEGylated gold nanoshell drug delivery system (DOX-TSMLs-AuNSs-PEG) based on doxorubicin-loaded thermosensitive magnetoliposomes was successfully obtained. The reverse-phase evaporation method was used to construct the magnetoliposomes, and then gold nanoshells were coated on the surface of it. The DOX-TSMLs-AuNSs-PEG delivery system was synthesized after SH-PEG2000 modification. This multifunction system was combined with a variety of functions, such as radiofrequency-triggered release, chemo-hyperthermia therapy, and dual-mode magnetic resonance/X-ray imaging. Importantly, the DOX-TSMLs-AuNSs-PEG complex was found to escape from endosomes after cellular uptake by radiofrequency-induced endosome disruption before lysosomal degradation. All results in vitro and in vivo indicated that DOX-TSMLs-AuNSs-PEG is a promising effective drug delivery system for diagnosis and treatment of tumors.